Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables

John Chao () and Peter Phillips

No 1198, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper analyzes the behavior of posterior distributions under the Jeffreys prior in a simultaneous equations model. The case under study is that of a general limited information setup with n + 1 endogenous variables. The Jeffreys prior is shown to give rise to a marginal posterior density which has Cauchy-like tails similar to that exhibited by the exact finite sample distribution of the corresponding LIML estimator. A stronger correspondence is established in the special case of a just-identified orthonormal canonical model, where the posterior density under the Jeffreys prior is shown to have the same functional form as the density of the finite sample distribution of the LIML estimator. The work here generalizes that of Chao and Phillips (1997), which gives analogous results for the special case of two endogenous variables.

Keywords: Cauchy tails; exact finite sample distributions; Jeffreys prior; just identification; limited information; posterior density; simultaneous equations model (search for similar items in EconPapers)
JEL-codes: C11 (search for similar items in EconPapers)
Pages: 32 pages
Date: 1998-10
Note: CFP 1107.
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Journal of Econometrics (2002) 111(2): 251-283

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d11/d1198.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Jeffreys prior analysis of the simultaneous equations model in the case with n+1 endogenous variables (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1198

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().